﻿# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
# 
# Licensed under the Apache License, Version 2.0 (the "License"); 
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
# 
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from datetime import datetime, timedelta

import clr
clr.AddReference("System")
clr.AddReference("QuantConnect.Algorithm")
clr.AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *


class LimitFillRegressionAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
        
        self.SetStartDate(2013,10,07)  #Set Start Date
        self.SetEndDate(2013,10,11)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        # Find more symbols here: http://quantconnect.com/data
        self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Second)

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        
        Arguments:
            data: Slice object keyed by symbol containing the stock data
        '''
        if data.Bars.ContainsKey("SPY"):
            currentTime = datetime(self.Time)
            if self.IsRoundHour(currentTime):
                goLong = currentTime < datetime(self.StartDate) + (datetime(self.EndDate) - datetime(self.StartDate))/2
                negative = 1 if goLong else -1
                self.LimitOrder("SPY", negative*10, data["SPY"].Price)

    def IsRoundHour(self, dateTime):
        '''Verify whether datetime is round hour'''
        return dateTime.minute == 0 and dateTime.second == 0 and dateTime.microsecond == 0